Related papers: Healthy... Distress... Default
Stochastic dynamical systems allow modelling of transitions induced by disturbances, in particular from an attracting equilibrium and crossing the stable manifold of a saddle. In the small-noise limit, the probability of such transitions is…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
Physiological stress fundamentally alters disease susceptibility in aquatic environments. In this paper, we develop a stress-structured epidemiological model where host vulnerability is dynamically driven by water quality. Analytically, we…
We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and losing streaks that are common across financial markets but…
A probabilistic framework is proposed for the optimization of efficient switched control strategies for physical systems dominated by stochastic excitation. In this framework, the equation for the state trajectory is replaced with an…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
It is shown how the macroscopic non-equilibrium dynamics of a class of systems whose microscopic stochastic dynamics involves disordered and frustrated but range-free interactions can be well described by closed deterministic flow…
We develop a generalized stability framework for stochastic discrete-time systems, where the generality pertains to the ways in which the distribution of the state energy can be characterized. We use tools from finance and operations…
When dynamics in a system proceeds under suppressive external bias, the system can undergo an abrupt phase transition, as it occurs for example in the epidemic spreading. Recently, an explosive percolation (EP) model was introduced in line…
The method of distributions is developed for systems that are governed by hyperbolic conservation laws with stochastic forcing. The method yields a deterministic equation for the cumulative density distribution (CDF) of a system state,…
The paper introduces a simple way of recording and manipulating general stochastic processes without explicit reference to a probability measure. In the new calculus, operations traditionally presented in a measure-specific way are instead…
Technical trading rules have been widely used by practitioners in financial markets for a long time. The profitability remains controversial and few consider the stationarity of technical indicators used in trading rules. We convert MA, KDJ…
We propose score dynamics (SD), a general framework for learning accelerated evolution operators with large timesteps from molecular-dynamics simulations. SD is centered around scores, or derivatives of the transition log-probability with…
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and…
We introduce a path sampling method for obtaining statistical properties of an arbitrary stochastic dynamics. The method works by decomposing a trajectory in time, estimating the probability of satisfying a progress constraint, modifying…
We consider the dynamics of a 1D system evolving according to a deterministic drift and randomly forced by two types of jumps processes, one representing an external, uncontrolled forcing and the other one a control that instantaneously…
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed…
We study a model ecosystem by means of dynamical techniques from disordered systems theory. The model describes a set of species subject to competitive interactions through a background of resources, which they feed upon. Additionally…
The stochastic scenario of relaxation in the complex systems is presented. It is based on a general probabilistic formalism of limit theorems. The nonexponential relaxation is shown to result from the asymptotic self-similar properties in…
The characterization of heart dynamics with a view to distinguish abnormal from normal behavior is an interesting topic in clinical sciences. Here we present an analysis of the Electro-cardiogram (ECG) signals obtained under controlled…